Structured products and related credit derivatives: a comprehensive guide for investors
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N J
Wiley
2008
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIX, 523 S. graph. Darst. 24 cm |
| ISBN: | 9780470129852 0470129859 |
Internformat
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| 245 | 1 | 0 | |a Structured products and related credit derivatives |b a comprehensive guide for investors |c Brian P. Lancaster; Glenn M. Schultz; Frank J. Fabozzi |
| 264 | 1 | |a Hoboken, N J |b Wiley |c 2008 | |
| 300 | |a XIX, 523 S. |b graph. Darst. |c 24 cm | ||
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| 490 | 0 | |a The Frank J. Fabozzi series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Structured notes (Securities) | |
| 650 | 4 | |a Credit derivatives | |
| 650 | 4 | |a Credit derivatives | |
| 650 | 4 | |a Structured notes (Securities) | |
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Datensatz im Suchindex
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| adam_text | STRUCTURED PRODUCTS AND RELATED CREDIT DERIVATIVES A COMPREHENSIVE GUIDE
FOR INVESTORS BRIAN P. LANCASTER GLENN M. SCHULTZ FRANK J. FABOZZI WILEY
JOHN WILEY & SONS, INC. CONTENTS FOREWORD XIII DIANE SCHUMAKER-KRIEG
ACKNOWLEDGMENTS XV ABOUT THE EDITORS XVII CONTRIBUTING AUTHORS XIX
BACKGROUND 1 CHAPTER 1 INTRODUCTION 3 BRIAN P. LANCASTER, GLENN M.
SCHULB, AND FRANK J. FABOZZL CHAPTER 2 STRUCTURED FINANCE OPERATING
COMPANIES: SIVS, SU/S, AND OTHER STRUCTURED VEHICLES 11 GARRET SLOAN
STRUCTURED FINANCE OPERATING COMPANY DEFINED 11 TYPES OF STUCTURED
FINANCE OPERATING COMPANIES 13 STRUCTURED INVESTMENT VEHICLES 16 SLVS
AND HYBRID SLVS 24 THE RISK HISTORY OF SFOCS TO 2006 28 THE 2007
LIQUIDITY CRISIS 29 CONCLUSION 31 VI COMTENTS SECTJJNTWO CONSUMER ABS
CHAPTER 3 RESIDENTIAL ASSET-BACKED SECURITIES 35 GLENN NL. SCHULTZ
OVERVIEW OF THE MARKET 35 COLLATERAL PERFORMANCE 39 VOLUNTARY REPAYMENT
39 ADJUSTABLE RATE REPAYMENT ANALYSIS 41 INTEREST-ONLY REPAYMENT
ANALYSIS 45 FIXED RATE REPAYMENT ANALYSIS 46 OTHER FACTORS INFLUENCING
VOLUNTARY REPAYMENT 47 COLLATERAL CREDIT PERFORMANCE 53 INVOLUNTARY
REPAYMENT (DEFAULT) 55 OTHER FACTORS INFLUENCING INVOLUNTARY REPAYMENT
RATES 56 STRUCTURAL CONSIDERATIONS 59 ASSET-BACKED CREDIT DEFAULT SWAPS
74 ABX.HE INDEX 77 SUMMARY 79 CHAPTER 4 CREDIT CARD ABS 81 JOHN N.
MCELRAVEY CREDIT CARD SECURITIZATION BACKGROUND 81 CREDIT CARD ABS
STRUCTURES 84 SUMMARY 97 CHAPTER 5 AUTO ASSET-RACKED SECURITIES 89 GLENN
M. SCHULTZ, JOHN N. MCELRAVEY, SHANE WHITWORTH, AND ERIN K. WALSH
ISSUANCE 100 STRUCTURE 103 ISSUER COLLATERAL PROFILE 108 COLLATERAL
PERFORMANCE 109 DELINQUENCY AND LOSS RATES 111 VALUATION 113 AUTO LEASES
117 SUMMARY 120 CONTENTS VII CHAPTER 6 STUDENT LOAN ABS 121 ERIN K.WALSH
BACKGROUND 121 TYPES OF LOANS 123 LOAN STATUS 127 INTEREST RATES 128
PREPAYMENTS 130 ISSUANCE 133 TYPICAL BOND STRUCTURES 134 RISKS 139
CHARACTERISTICS OF STUDENT LOAN ABS 140 SUMMARY 144 CHAPTER 7 SMALL
BUSINESS LOAN ARS 147 ERIN K.WALSH SMALL BUSINESS ADMINISTRATION 148 SBA
7(A) LOAN GUARANTEE PROGRAM 149 SBA 7(A) LOAN CHARACTERISTICS 150
SECURITIZATION OF UNGUARANTEED PORTIONS OF SBA 7(A) LOANS 151
SECURITIZATION OF CONVENTIONAL SMALL BUSINESS LOANS 152 SMALL BUSINESS
LOAN LOSS PERFORMANCE ON SBA 7(A) LOANS* BANCLAB LLC DATA 153 SUMMARY
156 CHAPTER 8 VALUATION OF SUBPRIME ABS CREDIT DEFAULT SWAPS 157 SHANE
WHITWORTH CREDIT DEFAULT SWAPS 157 PAY-AS-YOU-GO CDS STRUCTURE FOR
SUBPRIME ABS 158 INTEREST SHORTFALL CONSIDERATIONS 158 STEPPING UP 159
PHYSICAL SETTLEMENT 159 HEDGING WITH CREDIT DEFAULT SWAPS 159 ZERO MONEY
DOWN! 161 CDS PRICES VERSUS CASH BOND PRICES 161 PRICING WHEN THE CDS
SPREAD EQUALS THE REFERENCE COUPON SPREAD 162 HEDGING WITH NO MONEY DOWN
166 VIIJ CONTENTS THE VALUE OF SCENARIO ANALYSIS 166 HOW ARE MORTGAGE
POOL SCENARIOS CREATED? 169 SUMMARY 169 SECTION THREE COLLATERALIZED
DEBT OBLIGATIONS 171 CHAPTER 9 RASICSOFCDOS 173 BRIAN MCMANUS, DAVE
PRESTON, ANIKRAY, AND STEVEN TODD A BRIEF HISTORY OF CDOS 174 CDO BASICS
175 PARTICIPANTS IN A CDO TRANSACTION 176 CDO PURPOSES 178 CDO
STRUCTURES 179 CDO LIFE CYCLE 182 EMBEDDED CALLS 183 COVERAGE TESTS 183
SPECIAL TRIGGERS: PAR PRESERVATION AND TURBO FEATURES 185 CASH FLOW CDO
WATERFALL 187 QUALITY TESTS 190 SPECIAL RIGHTS FOR THE CONTROLLING CLASS
192 CDO CASH SOURCES AND USES 193 CDO TRUTHS, HALF-TRUTHS, AND MYTHS 194
CHAPTER 10 CDOS BY ASSET TYPE 197 BRIAN MCMANUS, DAVE PRESTON, ANIKRAY,
AND STEVEN TODD CONSTRUCTING THE CDO PORTFOLIO 199 COLLATERALIZED LOAN
OBLIGATIONS AND SPECULATIVE-GRADE CORPORATE COLLATERAL 200 LEVERAGED
LOANS AS COLLATERAL 201 ABS CDOS 208 MIDDLE-MARKET CLOS 211 TRUPS 222
EUROPEAN CDOS 226 SUMMARY 228 CONTENTS JX CHAPTER 11 CREDIT DERIVATIVES
AND SYNTHETIC CDOS 231 BRIAN MCMANUS, STEVEN TODD, DAVE PRESTON, AND
ANIKRAY SINGLE-NAME CREDIT DEFAULT SWAPS 232 CDS INDEXES 240 INDEX
TRANCHES, SWAPS, SYNTHETIC EQUITY, AND CDOS 248 SYNTHETIC CDOS 252
CORRELATION 255 SUMMARY 259 APPENDIX A: INDEX ELIGIBILITY RULES 259
APPENDIX B: THE MECHANICS OF CASH SETTLEMENT 262 CHAPTER 12 CDO
PERFORMANCE 207 STEVEN TODD, BRIAN MCMANUS, ANIK RAY, AND DAVE PRESTON
UPGRADE/DOWNGRADE STATISTICS SUFFER FROM A VINTAGE BIAS 268 RETURN
PERFORMANCE DATA MAY NOT BE INFORMATIVE 269 WHAT DOES THE MARKET TELL US
ABOUT MANAGERS? 269 SOME CASE STUDIES 271 WHAT DO THE RATING AGENCIES
HAVE TO SAY ABOUT MANAGERS? 274 SHOULD EQUITY INVESTORS LOOK FOR
MANAGERS WITH EQUITY STAKES? 275 IS GOOD PERFORMANCE THE RESULT OF LUCK
OR SKILL? 277 MARKET EFFICIENCY AND MANAGER PERFORMANCE 277 NO CDO
BENCHMARKS 278 CDO RATINGS TRANSITIONS 278 LIQUIDITY CONSIDERATIONS 280
SO WHAT SHOULD INVESTORS DO ? 280 CONCLUSION 282 APPENDIX: RATING AGENCY
REPORTS 282 CHAPTER 13 CDO EQUITY 288 BRIAN MCMANUS, STEVEN TODD, ANIK
RAY, AND DAVE PRESTON WHAT IS CDO EQUITY? 290 WHAT ARE THE ADVANTAGES OF
CDO EQUITY? 291 WHAT ARE THE RISKS OF CDO EQUITY? 292 HOW CAN INVESTORS
GAIN EXPOSURE TO CDO EQUITY? 292 WHAT ARE THE SOURCES OF EQUITY CASH
FLOWS? 292 WHAT IS THE BEST TIME TO INVEST IN CDO EQUITY? 295 WHAT IS
THE TYPICAL LIFE CYCLE FOR EQUITY? 297 CONTENTS HOW CAN WE MEASURE
PERFORMANCE? 297 ISSUE PERFORMANCE 298 WHAT INSIGHTS DO OTHER DATA
SOURCES SAY ABOUT EQUITY PERFORMANCE? 300 CDO EQUITY PERFORMANCE DRIVERS
307 HOW SHOULD INVESTORS ANALYZE EQUITY RETURNS? 308 CONCLUSION 309
APPENDIX: WHAT IS THE COST OF EARLY REDEMPTION? 309 COMMERCIAL REAL
ESTATE 3111 CHAPTER 14 COMMERCIAL MORTGAGE-BACKED SECURITIES 313 BRIAN
P. LANCASTER, ANTHONY G. BUTLER, AND GREG LAUGHTON WHAT ARE COMMERCIAL
MORTGAGE-BACKED SECURITIES? 315 THE CHARACTERISTICS OF COMMERCIAL REAL
ESTATE LOANS 318 ANALYZING AND VALUING CMBS 321 HOW CMBS TRADE 326 CMBS
PERFORMANCE 327 WHO SHOULD AND DOES INVEST IN CMBS? 331 CONCLUSION 331
CHAPTER 15 UNDERSTANDING MANAGED CRE CDOS 333 BRIAN P. LANCASTER,
ANTHONY G. BUTLER, AND GREG LAUGHTON EVOLUTION OF THE MARKET FOR
B-NOTES, MEZZANINE LOANS, PREFERRED EQUITY, AND RAKE BONDS 334 EVOLUTION
OF COMMERCIAL REAL ESTATE CDOS 337 UNDERSTANDING THE COLLATERAL:
MEZZANINE DEBT, B-NOTES, RAKE BONDS, AND PREFERRED EQUITY 347 CONCLUSION
365 APPENDIX A: DEFINITION OF ACCEPTED SERVICING PRACTICES 366 APPENDIX
B: B-NOTES: JUNIOR PARTICIPANTS RIGHTS 367 CONTENTS X] CHAPTER 16
SYNTHETIC CRE CDOS 371 BRIAN P. LANCASTER AND ANTHONY G. BUTLER GROWTH
AND EVOLUTION OF THE SYNTHETIC CRE CDO MARKET 372 SYNTHETIC CDOS FROM
THE GROUND UP 374 CREDIT EVENTS: PRINCIPAL WRITEDOWN AND INTEREST
SHORTFALL 383 ISSUER AND INVESTOR CONSIDERATIONS WITH SYNTHETIC
COLLATERAL 384 SYNTHETIC BALANCE SHEET DEALS 394 INVESTOR S GUIDE TO
SYNTHETIC CDOS 398 CONCLUSION 399 CHAPTER 17 EUROPEAN COMMERCIAL REAL
ESTATE CDOS 401 CHRIS VAN HEERDEN CRE CDO COLLATERAL 401 CRE CDO
STRUCTURE 409 INVESTING IN CRE CDOS 417 APPENDIX: CMBS VERSUS CRE CDOS
421 CHAPTER 18 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION MULTIFAMILY
DEALS 423 BRIAN P. LANCASTER, ANTHONY G. BUTLER, LANDON C. FRENCH, AND
STEPHEN P. MAYEUX THE PATH TO A GNMA MULTIFAMILY DEAL 423 A CLOSER LOOK
AT GNMA MULTIFAMILY DEALS 426 FHA PROGRAM TYPES 430 HOW ARE THE DEALS
STRUCTURED? 431 TRADING GNMA MULTIFAMILY BONDS 432 PREPAYMENT ANALYSIS
OF GNMA MULTIFAMILY LOANS 435 HISTORICAL PREPAYMENTS 436 DEFAULT
ANALYSIS OF GNMA MULTIFAMILY LOANS 444 CONCLUSION 445 APPENDIX A:
FHA-APPROVED LENDERS IN 2006 446 APPENDIX B: GNMA REMIC MULTIFAMILY DEAL
LIST, 2001-2006: Q3 448 APPENDIX C: CALL PROTECTION BREAKDOWN IN GNMA
MULTIFAMILY DEALS BY YEAR 453 APPENDIX D: HISTORICAL GNMA DEFAULTS,
1994-2006: Q3 455 X F I C O N T E N T S COMMERCIAL ABS 457 CHAPTER 19
AIRCRAFT-BACKED BEBT SECURITIES 459 CHRIS VAN HEERDEN HISTORICAL
BACKGROUND TO THE AIRCRAFT-BACKED DEBT MARKET 459 THE MARKET FOR
AIRCRAFT-BACKED SECURITIES 461 EETCS AND POOLED LEASE ABS COMPARED 465
AIRCRAFT ABS DEAL STRUCTURES 469 MODELING AIRCRAFT CASH FLOW 471 DATA
QUALITY AND MODEL RISKS 475 WORLDWIDE MARKET FOR COMMERCIAL AIRCRAFT 475
SUMMARY 482 CHAPTER 20 INTERMODAL EQUIPMENT SECURITIZATION 487 CHRIS VAN
HEERDEN MARKET BACKGROUND 487 DEAL STRUCTURE 489 ISSUER OVERVIEW 490
OUTLOOK FOR ISSUANCE 491 CONCLUSION 491 CHAPTER 21 LIFE INSURANCE
RESERVE SECURITIZATION 483 CHRIS VAN HEERDEN THE LIFE INSURANCE
SECURITIZATION MARKET 493 RESERVE FUNDING SECURITIZATION 494 THE LEVEL
PREMIUM GUARANTEED POLICY 496 TRANSACTION STRUCTURES 498 CONCLUSION 501
INDEX 503
|
| adam_txt |
STRUCTURED PRODUCTS AND RELATED CREDIT DERIVATIVES A COMPREHENSIVE GUIDE
FOR INVESTORS BRIAN P. LANCASTER GLENN M. SCHULTZ FRANK J. FABOZZI WILEY
JOHN WILEY & SONS, INC. CONTENTS FOREWORD XIII DIANE SCHUMAKER-KRIEG
ACKNOWLEDGMENTS XV ABOUT THE EDITORS XVII CONTRIBUTING AUTHORS XIX
BACKGROUND 1 CHAPTER 1 INTRODUCTION 3 BRIAN P. LANCASTER, GLENN M.
SCHULB, AND FRANK J. FABOZZL CHAPTER 2 STRUCTURED FINANCE OPERATING
COMPANIES: SIVS, SU/S, AND OTHER STRUCTURED VEHICLES 11 GARRET SLOAN
STRUCTURED FINANCE OPERATING COMPANY DEFINED 11 TYPES OF STUCTURED
FINANCE OPERATING COMPANIES 13 STRUCTURED INVESTMENT VEHICLES 16 SLVS
AND HYBRID SLVS 24 THE RISK HISTORY OF SFOCS TO 2006 28 THE 2007
LIQUIDITY CRISIS 29 CONCLUSION 31 VI COMTENTS SECTJJNTWO CONSUMER ABS
CHAPTER 3 RESIDENTIAL ASSET-BACKED SECURITIES 35 GLENN NL. SCHULTZ
OVERVIEW OF THE MARKET 35 COLLATERAL PERFORMANCE 39 VOLUNTARY REPAYMENT
39 ADJUSTABLE RATE REPAYMENT ANALYSIS 41 INTEREST-ONLY REPAYMENT
ANALYSIS 45 FIXED RATE REPAYMENT ANALYSIS 46 OTHER FACTORS INFLUENCING
VOLUNTARY REPAYMENT 47 COLLATERAL CREDIT PERFORMANCE 53 INVOLUNTARY
REPAYMENT (DEFAULT) 55 OTHER FACTORS INFLUENCING INVOLUNTARY REPAYMENT
RATES 56 STRUCTURAL CONSIDERATIONS 59 ASSET-BACKED CREDIT DEFAULT SWAPS
74 ABX.HE INDEX 77 SUMMARY 79 CHAPTER 4 CREDIT CARD ABS 81 JOHN N.
MCELRAVEY CREDIT CARD SECURITIZATION BACKGROUND 81 CREDIT CARD ABS
STRUCTURES 84 SUMMARY 97 CHAPTER 5 AUTO ASSET-RACKED SECURITIES 89 GLENN
M. SCHULTZ, JOHN N. MCELRAVEY, SHANE WHITWORTH, AND ERIN K. WALSH
ISSUANCE 100 STRUCTURE 103 ISSUER COLLATERAL PROFILE 108 COLLATERAL
PERFORMANCE 109 DELINQUENCY AND LOSS RATES 111 VALUATION 113 AUTO LEASES
117 SUMMARY 120 CONTENTS VII CHAPTER 6 STUDENT LOAN ABS 121 ERIN K.WALSH
BACKGROUND 121 TYPES OF LOANS 123 LOAN STATUS 127 INTEREST RATES 128
PREPAYMENTS 130 ISSUANCE 133 TYPICAL BOND STRUCTURES 134 RISKS 139
CHARACTERISTICS OF STUDENT LOAN ABS 140 SUMMARY 144 CHAPTER 7 SMALL
BUSINESS LOAN ARS 147 ERIN K.WALSH SMALL BUSINESS ADMINISTRATION 148 SBA
7(A) LOAN GUARANTEE PROGRAM 149 SBA 7(A) LOAN CHARACTERISTICS 150
SECURITIZATION OF UNGUARANTEED PORTIONS OF SBA 7(A) LOANS 151
SECURITIZATION OF CONVENTIONAL SMALL BUSINESS LOANS 152 SMALL BUSINESS
LOAN LOSS PERFORMANCE ON SBA 7(A) LOANS* BANCLAB LLC DATA 153 SUMMARY
156 CHAPTER 8 VALUATION OF SUBPRIME ABS CREDIT DEFAULT SWAPS 157 SHANE
WHITWORTH CREDIT DEFAULT SWAPS 157 PAY-AS-YOU-GO CDS STRUCTURE FOR
SUBPRIME ABS 158 INTEREST SHORTFALL CONSIDERATIONS 158 STEPPING UP 159
PHYSICAL SETTLEMENT 159 HEDGING WITH CREDIT DEFAULT SWAPS 159 ZERO MONEY
DOWN! 161 CDS PRICES VERSUS CASH BOND PRICES 161 PRICING WHEN THE CDS
SPREAD EQUALS THE REFERENCE COUPON SPREAD 162 HEDGING WITH NO MONEY DOWN
166 VIIJ CONTENTS THE VALUE OF SCENARIO ANALYSIS 166 HOW ARE MORTGAGE
POOL SCENARIOS CREATED? 169 SUMMARY 169 SECTION THREE COLLATERALIZED
DEBT OBLIGATIONS 171 CHAPTER 9 RASICSOFCDOS 173 BRIAN MCMANUS, DAVE
PRESTON, ANIKRAY, AND STEVEN TODD A BRIEF HISTORY OF CDOS 174 CDO BASICS
175 PARTICIPANTS IN A CDO TRANSACTION 176 CDO PURPOSES 178 CDO
STRUCTURES 179 CDO LIFE CYCLE 182 EMBEDDED CALLS 183 COVERAGE TESTS 183
SPECIAL TRIGGERS: PAR PRESERVATION AND TURBO FEATURES 185 CASH FLOW CDO
WATERFALL 187 QUALITY TESTS 190 SPECIAL RIGHTS FOR THE CONTROLLING CLASS
192 CDO CASH SOURCES AND USES 193 CDO TRUTHS, HALF-TRUTHS, AND MYTHS 194
CHAPTER 10 CDOS BY ASSET TYPE 197 BRIAN MCMANUS, DAVE PRESTON, ANIKRAY,
AND STEVEN TODD CONSTRUCTING THE CDO PORTFOLIO 199 COLLATERALIZED LOAN
OBLIGATIONS AND SPECULATIVE-GRADE CORPORATE COLLATERAL 200 LEVERAGED
LOANS AS COLLATERAL 201 ABS CDOS 208 MIDDLE-MARKET CLOS 211 TRUPS 222
EUROPEAN CDOS 226 SUMMARY 228 CONTENTS JX CHAPTER 11 CREDIT DERIVATIVES
AND SYNTHETIC CDOS 231 BRIAN MCMANUS, STEVEN TODD, DAVE PRESTON, AND
ANIKRAY SINGLE-NAME CREDIT DEFAULT SWAPS 232 CDS INDEXES 240 INDEX
TRANCHES, SWAPS, SYNTHETIC EQUITY, AND CDOS 248 SYNTHETIC CDOS 252
CORRELATION 255 SUMMARY 259 APPENDIX A: INDEX ELIGIBILITY RULES 259
APPENDIX B: THE MECHANICS OF CASH SETTLEMENT 262 CHAPTER 12 CDO
PERFORMANCE 207 STEVEN TODD, BRIAN MCMANUS, ANIK RAY, AND DAVE PRESTON
UPGRADE/DOWNGRADE STATISTICS SUFFER FROM A VINTAGE BIAS 268 RETURN
PERFORMANCE DATA MAY NOT BE INFORMATIVE 269 WHAT DOES THE MARKET TELL US
ABOUT MANAGERS? 269 SOME CASE STUDIES 271 WHAT DO THE RATING AGENCIES
HAVE TO SAY ABOUT MANAGERS? 274 SHOULD EQUITY INVESTORS LOOK FOR
MANAGERS WITH EQUITY STAKES? 275 IS GOOD PERFORMANCE THE RESULT OF LUCK
OR SKILL? 277 MARKET EFFICIENCY AND MANAGER PERFORMANCE 277 NO CDO
BENCHMARKS 278 CDO RATINGS TRANSITIONS 278 LIQUIDITY CONSIDERATIONS 280
SO WHAT SHOULD INVESTORS DO ? 280 CONCLUSION 282 APPENDIX: RATING AGENCY
REPORTS 282 CHAPTER 13 CDO EQUITY 288 BRIAN MCMANUS, STEVEN TODD, ANIK
RAY, AND DAVE PRESTON WHAT IS CDO EQUITY? 290 WHAT ARE THE ADVANTAGES OF
CDO EQUITY? 291 WHAT ARE THE RISKS OF CDO EQUITY? 292 HOW CAN INVESTORS
GAIN EXPOSURE TO CDO EQUITY? 292 WHAT ARE THE SOURCES OF EQUITY CASH
FLOWS? 292 WHAT IS THE BEST TIME TO INVEST IN CDO EQUITY? 295 WHAT IS
THE TYPICAL LIFE CYCLE FOR EQUITY? 297 CONTENTS HOW CAN WE MEASURE
PERFORMANCE? 297 ISSUE PERFORMANCE 298 WHAT INSIGHTS DO OTHER DATA
SOURCES SAY ABOUT EQUITY PERFORMANCE? 300 CDO EQUITY PERFORMANCE DRIVERS
307 HOW SHOULD INVESTORS ANALYZE EQUITY RETURNS? 308 CONCLUSION 309
APPENDIX: WHAT IS THE COST OF EARLY REDEMPTION? 309 COMMERCIAL REAL
ESTATE 3111 CHAPTER 14 COMMERCIAL MORTGAGE-BACKED SECURITIES 313 BRIAN
P. LANCASTER, ANTHONY G. BUTLER, AND GREG LAUGHTON WHAT ARE COMMERCIAL
MORTGAGE-BACKED SECURITIES? 315 THE CHARACTERISTICS OF COMMERCIAL REAL
ESTATE LOANS 318 ANALYZING AND VALUING CMBS 321 HOW CMBS TRADE 326 CMBS
PERFORMANCE 327 WHO SHOULD AND DOES INVEST IN CMBS? 331 CONCLUSION 331
CHAPTER 15 UNDERSTANDING MANAGED CRE CDOS 333 BRIAN P. LANCASTER,
ANTHONY G. BUTLER, AND GREG LAUGHTON EVOLUTION OF THE MARKET FOR
B-NOTES, MEZZANINE LOANS, PREFERRED EQUITY, AND RAKE BONDS 334 EVOLUTION
OF COMMERCIAL REAL ESTATE CDOS 337 UNDERSTANDING THE COLLATERAL:
MEZZANINE DEBT, B-NOTES, RAKE BONDS, AND PREFERRED EQUITY 347 CONCLUSION
365 APPENDIX A: DEFINITION OF ACCEPTED SERVICING PRACTICES 366 APPENDIX
B: B-NOTES: JUNIOR PARTICIPANTS' RIGHTS 367 CONTENTS X] CHAPTER 16
SYNTHETIC CRE CDOS 371 BRIAN P. LANCASTER AND ANTHONY G. BUTLER GROWTH
AND EVOLUTION OF THE SYNTHETIC CRE CDO MARKET 372 SYNTHETIC CDOS FROM
THE GROUND UP 374 CREDIT EVENTS: PRINCIPAL WRITEDOWN AND INTEREST
SHORTFALL 383 ISSUER AND INVESTOR CONSIDERATIONS WITH SYNTHETIC
COLLATERAL 384 SYNTHETIC BALANCE SHEET DEALS 394 INVESTOR'S GUIDE TO
SYNTHETIC CDOS 398 CONCLUSION 399 CHAPTER 17 EUROPEAN COMMERCIAL REAL
ESTATE CDOS 401 CHRIS VAN HEERDEN CRE CDO COLLATERAL 401 CRE CDO
STRUCTURE 409 INVESTING IN CRE CDOS 417 APPENDIX: CMBS VERSUS CRE CDOS
421 CHAPTER 18 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION MULTIFAMILY
DEALS 423 BRIAN P. LANCASTER, ANTHONY G. BUTLER, LANDON C. FRENCH, AND
STEPHEN P. MAYEUX THE PATH TO A GNMA MULTIFAMILY DEAL 423 A CLOSER LOOK
AT GNMA MULTIFAMILY DEALS 426 FHA PROGRAM TYPES 430 HOW ARE THE DEALS
STRUCTURED? 431 TRADING GNMA MULTIFAMILY BONDS 432 PREPAYMENT ANALYSIS
OF GNMA MULTIFAMILY LOANS 435 HISTORICAL PREPAYMENTS 436 DEFAULT
ANALYSIS OF GNMA MULTIFAMILY LOANS 444 CONCLUSION 445 APPENDIX A:
FHA-APPROVED LENDERS IN 2006 446 APPENDIX B: GNMA REMIC MULTIFAMILY DEAL
LIST, 2001-2006: Q3 448 APPENDIX C: CALL PROTECTION BREAKDOWN IN GNMA
MULTIFAMILY DEALS BY YEAR 453 APPENDIX D: HISTORICAL GNMA DEFAULTS,
1994-2006: Q3 455 X F I C O N T E N T S COMMERCIAL ABS 457 CHAPTER 19
AIRCRAFT-BACKED BEBT SECURITIES 459 CHRIS VAN HEERDEN HISTORICAL
BACKGROUND TO THE AIRCRAFT-BACKED DEBT MARKET 459 THE MARKET FOR
AIRCRAFT-BACKED SECURITIES 461 EETCS AND POOLED LEASE ABS COMPARED 465
AIRCRAFT ABS DEAL STRUCTURES 469 MODELING AIRCRAFT CASH FLOW 471 DATA
QUALITY AND MODEL RISKS 475 WORLDWIDE MARKET FOR COMMERCIAL AIRCRAFT 475
SUMMARY 482 CHAPTER 20 INTERMODAL EQUIPMENT SECURITIZATION 487 CHRIS VAN
HEERDEN MARKET BACKGROUND 487 DEAL STRUCTURE 489 ISSUER OVERVIEW 490
OUTLOOK FOR ISSUANCE 491 CONCLUSION 491 CHAPTER 21 LIFE INSURANCE
RESERVE SECURITIZATION 483 CHRIS VAN HEERDEN THE LIFE INSURANCE
SECURITIZATION MARKET 493 RESERVE FUNDING SECURITIZATION 494 THE LEVEL
PREMIUM GUARANTEED POLICY 496 TRANSACTION STRUCTURES 498 CONCLUSION 501
INDEX 503 |
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| author | Lancaster, Brian P. |
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| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV023357251 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:07:45Z |
| indexdate | 2024-07-09T21:16:45Z |
| institution | BVB |
| isbn | 9780470129852 0470129859 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016540787 |
| oclc_num | 174131668 |
| open_access_boolean | |
| owner | DE-92 DE-945 |
| owner_facet | DE-92 DE-945 |
| physical | XIX, 523 S. graph. Darst. 24 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Lancaster, Brian P. Verfasser aut Structured products and related credit derivatives a comprehensive guide for investors Brian P. Lancaster; Glenn M. Schultz; Frank J. Fabozzi Hoboken, N J Wiley 2008 XIX, 523 S. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Includes bibliographical references and index Structured notes (Securities) Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 s DE-604 Strukturiertes Finanzprodukt (DE-588)4656104-3 s Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s b DE-604 Schultz, Glenn M. Sonstige oth Fabozzi, Frank J. 1948- Sonstige (DE-588)129772054 oth GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016540787&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lancaster, Brian P. Structured products and related credit derivatives a comprehensive guide for investors Structured notes (Securities) Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4656104-3 (DE-588)7660453-6 (DE-588)4114309-7 |
| title | Structured products and related credit derivatives a comprehensive guide for investors |
| title_auth | Structured products and related credit derivatives a comprehensive guide for investors |
| title_exact_search | Structured products and related credit derivatives a comprehensive guide for investors |
| title_exact_search_txtP | Structured products and related credit derivatives a comprehensive guide for investors |
| title_full | Structured products and related credit derivatives a comprehensive guide for investors Brian P. Lancaster; Glenn M. Schultz; Frank J. Fabozzi |
| title_fullStr | Structured products and related credit derivatives a comprehensive guide for investors Brian P. Lancaster; Glenn M. Schultz; Frank J. Fabozzi |
| title_full_unstemmed | Structured products and related credit derivatives a comprehensive guide for investors Brian P. Lancaster; Glenn M. Schultz; Frank J. Fabozzi |
| title_short | Structured products and related credit derivatives |
| title_sort | structured products and related credit derivatives a comprehensive guide for investors |
| title_sub | a comprehensive guide for investors |
| topic | Structured notes (Securities) Credit derivatives Derivat Wertpapier (DE-588)4381572-8 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Structured notes (Securities) Credit derivatives Derivat Wertpapier Strukturiertes Finanzprodukt Kreditderivat Kreditrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016540787&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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